The impact of real exchange rates on real stock prices

H. Wong
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引用次数: 12

Abstract

PurposeThe study examines the impact of real exchange rates and asymmetric real exchange rates on real stock prices in Malaysia, the Philippines, Singapore, Korea, Japan, the United Kingdom (UK), Germany, Hong Kong and Indonesia.Design/methodology/approachThis study uses the asymmetric autoregressive distributed lag (ARDL) approach and non-linear autoregressive distributed lag (NARDL) approach.FindingsThe asymmetric ARDL approach shows more economic variables are found to be statistically significant than the ARDL approach. The asymmetric real exchange rate is mostly found to have a significant impact on the real stock price. Moreover, real output and real interest rates are found to have a significant impact on the real stock price. The Asian financial crisis (1997–1998) and the global financial crisis (2008–2009) are found to have a significant impact on the real stock price in some economies.Research limitations/implicationsEconomic variables are important in the determination of stock prices.Originality/valueIt is important to examine the impact of asymmetric real exchange rate on the real stock price as the depreciation of real exchange rate could have different impacts than the appreciation of real exchange rate on the real stock price. The previous studies in the literature mostly found the significant impact of nominal exchange rate on the nominal stock price.
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实际汇率对实际股票价格的影响
本研究考察了实际汇率和非对称实际汇率对马来西亚、菲律宾、新加坡、韩国、日本、英国、德国、香港和印度尼西亚实际股票价格的影响。本研究采用非对称自回归分布滞后(ARDL)方法和非线性自回归分布滞后(NARDL)方法。非对称的ARDL方法表明,与ARDL方法相比,有更多的经济变量具有统计显著性。实际汇率的不对称对实际股票价格的影响大多是显著的。此外,发现实际产出和实际利率对实际股票价格有显著影响。发现亚洲金融危机(1997-1998)和全球金融危机(2008-2009)对一些经济体的实际股票价格有显著影响。研究局限/启示经济变量在股票价格的决定中是重要的。原创性/价值检验实际汇率不对称对实际股票价格的影响是很重要的,因为实际汇率的贬值与实际汇率的升值对实际股票价格的影响可能不同。以往的文献研究大多发现名义汇率对名义股价有显著影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Economics, Finance and Administrative Science
Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
5.10
自引率
20.80%
发文量
23
审稿时长
12 weeks
期刊介绍: The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.
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